Qian Han

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

Professor of Finance

A 307, Economics Building

Xiamen, Fujian 361005

China

http://www.wise.xmu.edu.cn/viewNews.asp?id=2422

SCHOLARLY PAPERS

8

DOWNLOADS

788

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes between the China Financial Futures Exchange and the Singapore Exchange

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 26 Posted: 18 Mar 2012 Last Revised: 25 Dec 2012
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Independent, Renmin University of ChinaRenmin University of China and Independent
Downloads 210 (182,386)

Abstract:

Loading...

2.

Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash

Number of pages: 35 Posted: 08 Jul 2016
Qian Han, Jufang Liang and Jufang Liang
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and College of Finance and Statistics, Hunan UniversityDepartment of Financial Engineering,College of Finance and Statistics,Hunan University
Downloads 131 (271,879)

Abstract:

Loading...

Index futures; liquidity; market quality; difference-in-difference

3.

Are There Gains from Using Information over the Surface of Implied Volatilities?

Journal of Futures Markets (2017)
Number of pages: 54 Posted: 08 Apr 2016 Last Revised: 15 Jan 2018
Biao Guo, Qian Han and Hai Lin
Renmin University of China, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Victoria University of Wellington - School of Economics & Finance
Downloads 120 (290,175)
Citation 1

Abstract:

Loading...

implied volatility; price discovery; two-factor stochastic volatility model; out-of-sample forecast; economic significance

4.

Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach

Number of pages: 28 Posted: 16 Apr 2013
Xiamen University, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University and Xiamen University
Downloads 119 (291,944)
Citation 4

Abstract:

Loading...

Index futures, Spot market volatility, Panel data, Chinese stock market

5.

Is the KOSPI 200 Options Market Efficient? A Nonparametric Tests of the Martingale Restriction

Forthcoming in Journal of Futures Markets
Number of pages: 26 Posted: 18 Mar 2012 Last Revised: 16 Apr 2012
Qian Han, Biao Guo, Biao Guo and DooJin Ryu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Renmin University of ChinaRenmin University of China and Independent
Downloads 93 (344,542)

Abstract:

Loading...

Martingale Restriction, Nonparametric Test, Arbitrage, Risk-Neutral Density, KOSPI 200 Options

6.

Macroeconomic Conditions, Volatility Components, and Term Structure of Implied Volatility: An Empirical Investigation

Number of pages: 34 Posted: 16 Mar 2012
Qian Han
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 86 (361,705)

Abstract:

Loading...

7.

Does the World Smile Together? A Network Analysis of Global Index Option Implied Volatilities

Number of pages: 44 Posted: 30 Mar 2021 Last Revised: 10 Apr 2021
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Independent, affiliation not provided to SSRN and Department of Anesthesiology, Affiliated Hospital of Guangdong Medical University
Downloads 29 (581,649)

Abstract:

Loading...

Contagion; Directed Acyclic Graph (DAG); Global Index Options Markets; Implied Volatility Smile; Volatility Spillover

8.

Cross Economic Determinants of Implied Volatility Smile Dynamics: Three Major European Currency Options

European Financial Management, Vol. 22, Issue 5, pp. 817-852, 2016
Number of pages: 36 Posted: 22 Nov 2016
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), College of Finance and Statistics, Hunan UniversityDepartment of Financial Engineering,College of Finance and Statistics,Hunan University and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 0 (809,433)
Citation 1
  • Add to Cart

Abstract:

Loading...

implied volatility smile, economic determinants, currency options